At-a-Glance
Key Takeaways with Craig
US Equity prices traded lower today, as the market awaits tomorrow’s release of the September Employment Situation report that will provide the latest view of the health of the US labor market. Since the recent low on September 24th, 30-day implied volatility in CME’s E-mini S&P 500 has risen from about 11.4% to nearly 16% today, and in the Nasdaq-100, has risen from about 16.5% to nearly 21% today.
US Treasury yields traded higher today, with the 2-Year Treasury Yield future up by nearly 8 basis points and the 10-Year up by about 6.5. Since the FOMC decision to raise its Fed Funds target rate by 50 basis points at the September 18th meeting, CME’s 10-Year Yield future has risen from 3.687 to today’s rate of 3.845. In CME’s Treasury options markets, CVOL has risen moderately over the last several trading days, but we’ve seen a marked increase in the convexity levels. The CVOL graph below shows the convexity level in the 10-Year Treasury Note options over the last 3 months and illustrates the elevated level. Remember, convexity is a measure of the implied volatility in the out of the money options relative to that in the at the money options.
Have a great evening and we’ll be back tomorrow to report on CME market reaction to the Jobs report.
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